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Wilmott 和Taleb在伦敦要举行联合讲课
Wilmott & Taleb Seminar - Two-day Derivatives Workshop - 2-3 April 2008 - London
Wilmott-Taleb Seminar
DERIVATIVES TRADING, HEDGING AND VOLATILITY IN THE REAL WORLD: AN EXCLUSIVE TWO-DAY WORKSHOP
Past delegates say: "The best course I have ever attended," "Immensely practical," "Passionate," "New insights," "I recommend it to my friends," "The course was excellent" and "Paul and Nassim make a great team."
PAUL WILMOTT & NASSIM NICHOLAS TALEB
Course benefits:
- Two days with the two most influential derivatives practitioners
- Learn about blow ups and how to avoid them
- A focus on the wrinkles of practice by those who have most influenced applied derivatives thinking
- Restricted class size to maximize interaction and allow individual attention
- Learn from the author of Paul Wilmott on Quantitative Finance
- Meet Nassim Nicholas Taleb, author of Dynamic Hedging
Who should attend this course
- Derivatives professionals who want an extra edge
- Risk managers who need to figure out things not in books and equations
- Experienced traders who want some perspective
- Sell-side managers who want to see where their money is at risk
- Buy-side managers who want to improve their risk/return profile
COURSE CONTENT
EXPANDED PROGRAM: Now includes Risks of Funds, Multifractals and Non-Gaussian Methods
DAY 1
Morning: Intuition behind the pricing
- The simplest possible option valuation method
- Where Black-Scholes comes from
- How hedging should work, and why it doesn't
- Interpretation of the models
- The famous equation and what it means to the trader
- What are we assuming and why?
- Implied volatility and actual volatility
- Which volatility should you hedge with?
- Don't trust vega
- Buy side versus sell side: Who's doing what, why and with whom
- How the buy side prices and the sell side values
- The win-win situation
Afternoon: Where the Real World does not resemble the formulas
- The main source of errors
- Discrete hedging
- Unknown parameters
- Tracking of derivatives pricing methods: What formulas tend to miss
- State variables like volatile interest rates
- Credit
- Convexity and generalized convexity, including stochastic volatility
- What does stochastic volatility mean?
- Other sources of hidden convexity
- Transaction costs, execution, feedback and microstructure effects
- The effect of transacting on the total risk
- The effect of options on the strikes
DAY 2
Morning: Volatility
- Volatility problems: Estimation, definition
- A problem most practitioners miss: what is volatility?
- Different representations
- The Problem of Non-normality
- Effect on the tails
- Difference between volatility and variance
Afternoon: What can go wrong will go wrong
- Extreme Markets
- Crashes happen, it's a case of 'when' not 'if'
- Non probabilistic, worst cases
- Overview of the issues in a variety of markets:
- Fixed Income
- FX
- Equities
- Hybrid
Conclusion
Evening second day (optional)
Dinner with Wilmott and Taleb
About Paul Wilmott:
Dr Paul Wilmott has been described by the Financial Times as the cult derivatives lecturer.
He has for many years been a financial consultant specializing in derivatives, risk management and quantitative finance. Dr Wilmott received his D.Phil. from Oxford University in 1985. He is the author of Paul Wilmott Introduces Quantitative Finance (Wiley 2000) and Paul Wilmott On Quantitative Finance (Wiley 2006). He has written over 100 research articles on finance and mathematics.
Dr Wilmott runs www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott and is the Course Director for the Certificate in Quantitative Finance, www.7city.com/cqf.
About Nassim Nicholas Taleb:
Dr Nassim Nicholas Taleb works at the intersection of theory and practice. He started his career as a trader (which includes the Chicago pits) and subsequently became involved in the unique combination of applied research and trading.
He is the Dean's Professor in the Sciences of Uncertainty at the Isenberg School of Management, University of Massachusetts, Amherst, the founder of Empirica LLC, and runs a multimanager option arbitrage fund in New York. Previously he lectured at the Courant Institute of Mathematical Sciences of New York University about the limits of derivative models since 1999.
Taleb held trading positions with major derivative houses (CSFB,UBS, Paribas, Bankers Trust among others) and worked independently on the floor of the Chicago exchanges. His education includes an MBA from Wharton and a PhD from University Paris-Dauphine. He was inducted into the Derivatives Strategy Hall of Fame in 2001.
Taleb is the author of Dynamic Hedging (Wiley 1997), Fooled by Randomness (Random House, 2nd ed.) and The Black Swan (Allen Lane, 2007). Fooled by Randomness, a steady bestseller, has been published in 19 languages. The Black Swan has been on the New York Times bestseller list for many months.
Cost: Before 9th March 2008 Earlybird Discount reducing price to just £1499+VAT. After 9th March 2008 £1999 + VAT.
If you want to book your place, receive further information or would like someone to give you a call to discuss discounts then email [email=grace@wilmott.com?Subject=Wilmott and Taleb Seminar] grace@wilmott.com[/email] .
Book early, remember that places are limited to create the best experience for the delegates.
Venue: City of London location, within easy access of the underground.
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